lecturer:"Josef Teichmann"

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Rough Path Theory

401-4611-21L 2021S 4 Credits DR , MSC D-MATH

The aim of this course is to provide an introduction to the theory of rough paths, with a particular focus on their integration theory and associated rough differential equations, and how the theory relates to and enhances the field of stochastic calculus.

Seminar in Computational Finance for CSE

VVZ CR

401-5820-00L 2008W , 2020S , 2020W , 2021S , 2021W , 2022S , 2022W , 2023S , 2023W , 2024S , 2024W , 2025S , 2025W , 2026S , 2026W 4 Credits MSC D-MATH

Analysis of novel computational methods for core financial tasks such as portfolio optimization, hedging, and risk management.

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